Mean-absolute deviation portfolio optimization for mortgage-backed securities.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 433, doi. 10.1007/BF02282062
- By:
- Publication type:
- Article
Works matching IS 02545330 AND DT 1993 AND VI 45 AND IP 1-4
Results: 25
1
2
Using Kalman filter and finite difference techniques in default free bond pricing models.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 405, doi. 10.1007/BF02282061
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- Publication type:
- Article
3
A new approach to firm evaluation.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 387, doi. 10.1007/BF02282060
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- Publication type:
- Article
4
An interior point algorithm for large scale portfolio optimization.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 373, doi. 10.1007/BF02282059
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- Publication type:
- Article
5
Optimal consumption and arbitrage in incomplete, finite state security markets.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 349, doi. 10.1007/BF02282058
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- Publication type:
- Article
6
On the number of securities which constitute an efficient portfolio.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 333, doi. 10.1007/BF02282057
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- Publication type:
- Article
7
Dynamic linkages between stock prices, accrual earnings and cash flows: a cointegration analysis.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 319, doi. 10.1007/BF02282056
- By:
- Publication type:
- Article
8
Computation of mean-semivariance efficient sets by the Critical Line Algorithm.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 307, doi. 10.1007/BF02282055
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- Publication type:
- Article
9
Thin trading and estimation of systematic risk: An application of an error-correction model.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 297, doi. 10.1007/BF02282054
- By:
- Publication type:
- Article
10
Univariate and multivariate measures of risk aversion and risk premiums.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 265, doi. 10.1007/BF02282053
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- Publication type:
- Article
11
Optimal bank portfolio choice under fixed-rate deposit insurance.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 243, doi. 10.1007/BF02282052
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- Publication type:
- Article
12
A two-stage approach to multi-period allocation of savings among investment plans.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 221, doi. 10.1007/BF02282051
- By:
- Publication type:
- Article
13
A mean-absolute deviation-skewness portfolio optimization model.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 205, doi. 10.1007/BF02282050
- By:
- Publication type:
- Article
14
Optimal portfolios with asymptotic criteria.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 187, doi. 10.1007/BF02282049
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- Publication type:
- Article
15
Another explanation for the bias observed in the filter rule test.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 179, doi. 10.1007/BF02282048
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- Publication type:
- Article
16
Asymmetric risk measures and tracking models for portfolio optimization under uncertainty.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 165, doi. 10.1007/BF02282047
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- Publication type:
- Article
17
Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 147, doi. 10.1007/BF02282046
- By:
- Publication type:
- Article
18
Approximate valuation of average options.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 131, doi. 10.1007/BF02282045
- By:
- Publication type:
- Article
19
Valuing flexibility: an impulse control framework.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 109, doi. 10.1007/BF02282044
- By:
- Publication type:
- Article
20
The development of efficient portfolios in Japan with particular emphasis on sales and earnings forecasting.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 91, doi. 10.1007/BF02282043
- By:
- Publication type:
- Article
21
A note on portfolio optimization with path-dependent utility.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 77, doi. 10.1007/BF02282042
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- Publication type:
- Article
22
Multi-stage stochastic linear programs for portfolio optimization.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 59, doi. 10.1007/BF02282041
- By:
- Publication type:
- Article
23
Computing efficient frontiers using estimated parameters.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 21, doi. 10.1007/BF02282040
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- Publication type:
- Article
24
An envelopment-analysis approach to measuring the managerial efficiency of banks.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 1, doi. 10.1007/BF02282039
- By:
- Publication type:
- Article
25
Preface.
- Published in:
- Annals of Operations Research, 1993, v. 45, n. 1-4, p. 1, doi. 10.1007/BF02282038
- By:
- Publication type:
- Article